Model selection criteria in multivariate models with multiple structural changes

DOI10.1016/j.jeconom.2011.04.003zbMath1441.62786MaRDI QIDQ738024

Eiji Kurozumi, Purevdorj Tuvaandorj

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd10-144.pdf

zbMATH Keywords

AIC; BIC; structural breaks; information criteria; Mallows' \(C_p\)

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

62B10: Statistical aspects of information-theoretic topics

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